Implied Volatility, IV Rank, IV Percentile & Interpolated IV

Implied volatility (IV) is the market's forecast of how much an underlying will move, backed out of option prices. It is the single most important lever in option pricing after direction, because it sets how expensive premium is. Unusual Whales exposes IV per contract and packages it into several views — IV Rank, IV percentile, interpolated IV across fixed horizons, and the IV term structure — so you can judge whether volatility is cheap or expensive relative to its own history.

Implied volatility (IV)

IV is the volatility number that, plugged into an option-pricing model, reproduces the option's current market price. It is annualized and quoted as a percentage (for example 0.25 = 25% expected annualized standard deviation of returns). Because it is derived from price, IV rises when traders bid up options (demand for protection or speculation) and falls when they don't. IV is forward-looking and risk-neutral — it tells you what move the market is pricing, not which direction. High IV makes both calls and puts expensive; low IV makes them cheap. UW reports IV alongside delta and the other Greeks on each contract.

IV Rank — where current IV sits in its historical range

IV Rank normalizes today's IV against its own history so you can tell "expensive" from "cheap" for that specific ticker. Unusual Whales defines it directly: "IV rank is a measure of where current implied volatility stands relative to its historical range." UW reports it as iv_rank_1y — IV Rank over a one-year (252-trading-day) window. The standard formula is:

IV Rank = (current IV − lowest IV over period) / (highest IV over period − lowest IV over period)

A value of 0.65 (UW's example) means current IV sits 65% of the way between its one-year low and high. High IV Rank (toward 1.0) says options are richly priced relative to the past year — favoring premium-selling structures; low IV Rank (toward 0) says options are cheap — favoring premium-buying. IV Rank is sensitive to the single highest and lowest readings in the window, so one volatility spike can compress the whole scale.

IV percentile — the more robust cousin

IV percentile measures the fraction of days over the lookback window on which IV was below today's level. Where IV Rank only cares about the min and max, IV percentile counts every day, so it is less distorted by a single outlier spike. An IV percentile of 80% means IV was lower than today on 80% of days in the window — volatility is historically elevated. UW's interpolated-IV view reports a percentile field ("Percentile ranking of this volatility value over a 1y period") for each horizon, letting you see, for instance, that the 30-day IV is in its 77th percentile while the 7-day IV is only in its 53rd.

Interpolated IV — IV at fixed days-to-expiration

Listed options expire on specific dates, so the "30-day IV" you want rarely lines up with an actual expiry. Interpolated IV solves this by computing a smooth IV for standardized horizons (UW reports 1, 5, 7, 14, and 30 days) by interpolating between the surrounding real expirations. UW describes it as "Interpolated implied volatility data for different time horizons." Each horizon comes with the interpolated volatility, an implied-move percentage ("Expected move as a percentage of the current price"), and a one-year percentile. This gives a consistent, apples-to-apples IV you can track day over day and compare across tickers regardless of which expiries happen to be listed.

IV term structure — IV across expirations

The IV term structure plots IV against time to expiration. In calm markets it usually slopes upward (longer-dated options carry more uncertainty, so higher IV) — "contango." When near-term fear spikes (an imminent catalyst, a selloff), the front end can rise above the back — "backwardation" — signaling the market expects an outsized move soon. UW's term-structure view reports IV, implied move, and implied-move percentage per expiry, so you can see, for example, that the front-week expiry prices a 1.8% implied move while a later expiry prices a different one.

How to read high vs low IV Rank in practice

A high IV Rank or percentile tells you premium is expensive for this name versus its own recent history — sellers are being paid well, buyers are overpaying for the expected move, and there is more room for IV to mean-revert downward (vega risk for longs). A low IV Rank tells you premium is cheap — better for buyers, with IV more likely to expand. The crucial discipline is to compare a ticker against itself: a 40% absolute IV can be high for a utility and low for a biotech, but IV Rank/percentile bakes that in by referencing each ticker's own range. Pair this read with the realized-vs-implied gap (see that note) to judge whether the priced volatility is actually justified.